Module: Tushare::Datayes::IV

Included in:
Tushare::Datayes
Defined in:
lib/tushare/datayes/iv.rb

Overview

通联数据

Instance Method Summary collapse

Instance Method Details

#der_iv(begin_date: '', end_date: '', opt_id: '', sec_id: '', field: '') ⇒ Object

原始隐含波动率,包括期权价格、累计成交量、持仓量、隐含波动率等。



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# File 'lib/tushare/datayes/iv.rb', line 6

def der_iv(begin_date: '', end_date: '', opt_id: '', sec_id: '',
           field: '')
  api_path = format(DERIV, begin_date, end_date, opt_id, sec_id, field)
  fetch_data api_path
end

#der_iv_hv(begin_date: '', end_date: '', sec_id: '', period: '', field: '') ⇒ Object

历史波动率，各个时间段的收盘－收盘历史波动率。



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# File 'lib/tushare/datayes/iv.rb', line 13

def der_iv_hv(begin_date: '', end_date: '', sec_id: '', period: '',
              field: '')
  api_path = format(DERIVHV, begin_date, end_date, sec_id, period, field)
  fetch_data api_path
end

#der_iv_index(begin_date: '', end_date: '', sec_id: '', period: '', field: '') ⇒ Object

隐含波动率指数，衡量30天至1080天到期平价期权的平均波动性的主要方法。



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# File 'lib/tushare/datayes/iv.rb', line 20

def der_iv_index(begin_date: '', end_date: '', sec_id: '', period: '',
                 field: '')
  api_path = format(DERIVINDEX, begin_date, end_date, sec_id, period,
                    field)
  fetch_data api_path
end

#der_iv_ivp_delta(begin_date: '', end_date: '', sec_id: '', delta: '', period: '', field: '') ⇒ Object

隐含波动率曲面(基于参数平滑曲线)，基于delta（0.1至0.9,0.05升步）和到期日（1个月至3年）而标准化的曲面。



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# File 'lib/tushare/datayes/iv.rb', line 28

def der_iv_ivp_delta(begin_date: '', end_date: '', sec_id: '', delta: '',
                     period: '', field: '')
  api_path = format(DERIVIVPDELTA, begin_date, end_date, sec_id, delta,
                    period, field)
  fetch_data api_path
end

#der_iv_param(begin_date: '', end_date: '', sec_id: '', exp_date: '', field: '') ⇒ Object

隐含波动率参数化曲面，由二阶方程波动曲线在每个到期日平滑后的曲面（a,b,c曲线系数）



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# File 'lib/tushare/datayes/iv.rb', line 36

def der_iv_param(begin_date: '', end_date: '', sec_id: '', exp_date: '',
                 field: '')
  api_path = format(DERIVPARAM, begin_date, end_date, sec_id, exp_date,
                    field)
  fetch_data api_path
end

#der_iv_raw_delta(begin_date: '', end_date: '', sec_id: '', delta: '', period: '', field: '') ⇒ Object

隐含波动率曲面(基于原始隐含波动率)，基于delta（0.1至0.9,0.05升步）和到期日（1个月至3年）而标准化的曲面。



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# File 'lib/tushare/datayes/iv.rb', line 44

def der_iv_raw_delta(begin_date: '', end_date: '', sec_id: '', delta: '',
                     period: '', field: '')
  api_path = format(DERIVRAWDELTA, begin_date, end_date, sec_id, delta,
                    period, field)
  fetch_data api_path
end

#der_iv_surface(begin_date: '', end_date: '', sec_id: '', contract_type: '', field: '') ⇒ Object

隐含波动率曲面(在值程度)，基于在值程度而标准化的曲面。执行价格区间在-60%到+60%，5%升步，到期区间为1个月至3年。



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# File 'lib/tushare/datayes/iv.rb', line 52

def der_iv_surface(begin_date: '', end_date: '', sec_id: '',
                   contract_type: '', field: '')
  api_path = format(DERIVSURFACE, begin_date, end_date, sec_id,
                    contract_type, field)
  fetch_data api_path
end